[R] Robust PCA?

[Bert Gunter]

You seem not to have received a reply.  

You can use cov.rob in MASS or cov.Mcd in robustbase or undoubtedly others
to obtain a robust covariance matrix and then use that for PCA. 

-- Bert


Bert Gunter
Nonclinical Statistics
7-7374

-----Original Message-----
From: r-help-bounces at stat.math.ethz.ch
[mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Talbot Katz
Sent: Thursday, January 18, 2007 11:44 AM
To: r-help at stat.math.ethz.ch
Subject: [R] Robust PCA?

Hi.

I'm checking into robust methods for principal components analysis.  There 
seem to be several floating around.  I'm currently focusing my attention on 
a method of Hubert, Rousseeuw, and Vanden Branden 
(http://wis.kuleuven.be/stat/Papers/robpca.pdf) mainly because I'm familiar 
with other work by Rousseeuw and Hubert in robust methodologies.  Of course,

I'd like to obtain code for this method, or another good robust PCA method, 
if there's one out there.  I haven't noticed the existence on CRAN of a 
package for robust PCA (the authors of the ROBPCA method do provide MATLAB 
code).

--  TMK  --
212-460-5430	home
917-656-5351	cell

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